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On B-robust instrumental variable estimation of the linear model with panel data

  • Wagenvoort, Rien
  • Waldmann, Robert

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File URL: http://www.sciencedirect.com/science/article/B6VC0-44HSXYX-5/2/52c657d8add969f37378cde54e0c7ac8
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 106 (2002)
Issue (Month): 2 (February)
Pages: 297-324

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Handle: RePEc:eee:econom:v:106:y:2002:i:2:p:297-324
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Krasker, William S & Welsch, Roy E, 1985. "Resistant Estimation for Simultaneous-Equations Models Using Weighted Instrumental Variables," Econometrica, Econometric Society, vol. 53(6), pages 1475-88, November.
  2. Jaya Krishnakumar, 1995. "A General Methodology of Robust Estimation for Panel Data Models," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 95.02, Institut d'Economie et Econométrie, Université de Genève.
  3. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
  4. Kocherlakota, Narayana R., 1990. "On tests of representative consumer asset pricing models," Journal of Monetary Economics, Elsevier, vol. 26(2), pages 285-304, October.
  5. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  6. Zvi Griliches & Jerry A. Hausman, 1984. "Errors in Variables in Panel Data," NBER Technical Working Papers 0037, National Bureau of Economic Research, Inc.
  7. Wouter J. Den Haan & Andrew Levin, 1996. "Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures," NBER Technical Working Papers 0195, National Bureau of Economic Research, Inc.
  8. Krasker, William S, 1986. "Two-Stage Bounded-Influence Estimators for Simultaneous-Equations Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 437-44, October.
  9. Craig Burnside & Martin Eichenbaum, 1994. "Small Sample Properties of Generalized Method of Moments Based Wald Tests," NBER Technical Working Papers 0155, National Bureau of Economic Research, Inc.
  10. Hinloopen, Jeroen & Wagenvoort, Rien, 1997. "On the computation and efficiency of a HBP-GM estimator some simulation results," Computational Statistics & Data Analysis, Elsevier, vol. 25(1), pages 1-15, July.
  11. White, Halbert, 1982. "Instrumental Variables Regression with Independent Observations," Econometrica, Econometric Society, vol. 50(2), pages 483-99, March.
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